مقاله انگلیسی رایگان در مورد نوسانات بازار و بازده سهام: نقش تامین کنندگان نقدینگی (الزویر)

Market volatility, liquidity, and stock returns are all variables of significant interest to financial economists, market regulators, and investors.2 However, why and how these variables are interrelated has not been fully understood. For example, the literature provides little guidance as to why the returns of certain securities are more sensitive to volatility shocks than the returns of other securities. In addition, no previous study explicitly considers the role of liquidity providers in the analysis of the relation between market volatility and stock returns. As a result, prior research attributes the negative relation between market volatility and market returns primarily to greater risk premiums that are associated with higher market volatility.3 In this study, we shed additional light on the relation between market volatility and stock returns by examining the cross-section of stock returns that result from volatility shocks using the Chicago Board Options Exchange Market Volatility Index (VIX). 4 Our study shows that the negative relation between market volatility and stock returns arises not only from greater risk premiums but also greater illiquidity premiums that are associated with higher market volatility. We also provide estimates of the direct effect of volatility shock on stock returns, which is driven by greater risk premiums, and the indirect effect of volatility shock on stock returns, which is driven by greater illiquidity premiums associated with higher market volatility.